fix.pacf {Sie2nts} | R Documentation |
Generate Partial Autocorrelation Function (PACF) by User Specifying
Description
fix.pacf() generates the PACF with fixed tuning parameters.
Usage
fix.pacf(ts, c, lag, type, or = 4, m = 500)
Arguments
ts |
ts is the data set which is a time series data typically |
c |
c indicates the number of basis used to Estimate (For wavelet, the number of basis is 2^c. If Cspli is chosen, the real number of basis is c-2+or) |
lag |
lag b is the lag for auto-regressive model |
type |
type indicates which type of basis is used (There are 31 types in this package) |
or |
or indicates the order of spline and only used in Cspli type, default is 4 which indicates cubic spline |
m |
m indicates the number of points of coefficients to Estimate |
Value
A vector which contains the PACF with specific lag
Examples
set.seed(137)
time.series = c()
n = 1024
v = 25
w = rnorm(n, 0, 1) / v
x_ini = runif(1,0,1)
for(i in 1:n){
if(i == 1){
time.series[i] = 0.2 + 0.6*cos(2*pi*(i/n))*x_ini + w[i] #
} else{
time.series[i] = 0.2 + 0.6*cos(2*pi*(i/n))*time.series[i-1] + w[i]
}
}
fix.pacf(time.series, c=5, lag = 1, type = "Legen")
[Package Sie2nts version 0.1.0 Index]